One futures market can typically move much faster than a bunch of stocks, just based on logistics. The futures are more volatile (leverage) than the underlying, thus they will often move quicker, and will often lead in price discovery. However there are times when the underlying will be ahead of the futures. It just depends on what the big guys are doing. Arbitrage (playing the futures against the cash) keeps the markets in line.

I seem to recall an article in Futures Magazine recently that talked about the arb opportunities between the index instrument and and the futures. When ever either one gets too far out of line, traders will bring it back into line very quickly by buying one and selling the other. As with most arb opportunities, it has become more and more difficulty to make money doing this unless you have very fast executions and low transaction cost. There is lots more to it than that. Maybe someone with more experience could expand..... I believe the end result is that the index and futures will follow each other very closely. If they didn't, there would be a tremendous opportunity for profit.

Movement in the cash index - either by way of large buying/selling of one or more index components or buying/selling of large volumes of the QQQs or SPYs - will cause price movement in the futures (often through the arbitrage mechanism).

Also, supply/demand pressures in the futures will often drive the cash index because the risk in the futures transactions will generally get layed off at some point in the underlying equities (i.e., the buying/selling in the futures results in buying/selling of the equities).

There are firms that do nothing more than arb the cash and futures and you shouldn't see large discrepencies in the premium as a result. This is done on a large scale and faster than is practical for retail traders to achieve so regular arb opportunities for the average retail trader are slim to none.

But since you're dealing with interrelated and correlated dynamics, to best understand intraday price action in the S&P and NDX it's useful to have annotated charts for the correlated instruments showing key intraday support/resistance levels.

For the S&P, use the SPX cash index, the S&P futures, and the SPY. For the NDX, use the NDX cash index, the NDX futures, and the QQQ.